Row
Rank
Predicted Beta
Idiosyncratic Volatility
Row
Annualized return and volatility
| Close | |
|---|---|
| Annualized Return | -0.0401 |
| Annualized Std Dev | 0.2238 |
| Annualized Sharpe (Rf=0%) | -0.1791 |
Row
Daily Return Statistics
| Close | |
|---|---|
| Observations | 4126.0000 |
| NAs | 1.0000 |
| Minimum | -0.2215 |
| Quartile 1 | -0.0039 |
| Median | 0.0000 |
| Arithmetic Mean | -0.0001 |
| Geometric Mean | -0.0002 |
| Quartile 3 | 0.0046 |
| Maximum | 0.1584 |
| SE Mean | 0.0002 |
| LCL Mean (0.95) | -0.0005 |
| UCL Mean (0.95) | 0.0004 |
| Variance | 0.0002 |
| Stdev | 0.0141 |
| Skewness | -1.1431 |
| Kurtosis | 36.9882 |
Downside Risk
| Close | |
|---|---|
| Semi Deviation | 0.0105 |
| Gain Deviation | 0.0110 |
| Loss Deviation | 0.0133 |
| Downside Deviation (MAR=210%) | 0.0148 |
| Downside Deviation (Rf=0%) | 0.0105 |
| Downside Deviation (0%) | 0.0105 |
| Maximum Drawdown | 0.8342 |
| Historical VaR (95%) | -0.0168 |
| Historical ES (95%) | -0.0353 |
| Modified VaR (95%) | -0.0170 |
| Modified ES (95%) | -0.0170 |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 2004-11-16 | 2009-03-09 | NA | -0.8342 | 4114 | 1084 | NA |
| 2004-10-29 | 2004-10-29 | 2004-11-10 | -0.0025 | 9 | 1 | 8 |
| 2004-11-11 | 2004-11-11 | 2004-11-15 | -0.0015 | 3 | 1 | 2 |
Row
Monthly and Calendar Year Returns
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Close | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2004 | NA | NA | NA | NA | NA | NA | NA | NA | NA | 0.1 | 0 | 0.3 | 0.4 |
| 2005 | 0.6 | 0.8 | 1 | -0.1 | -0.2 | 1.5 | 0.3 | -0.5 | 0.1 | -0.2 | 0.3 | -1.1 | 2.5 |
| 2006 | -0.1 | -0.3 | -0.6 | 0.1 | -0.4 | 0.1 | -0.1 | 1.1 | 0.4 | 0.2 | 0.2 | 0.5 | 1.1 |
| 2007 | -0.3 | -0.7 | 0.6 | 0.4 | -0.1 | 0.2 | -3.3 | 1.8 | 0.9 | -0.3 | 0.8 | 1.6 | 1.5 |
| 2008 | 0.4 | -1.7 | 2.5 | 1 | -1 | -0.1 | 0.7 | -0.1 | 2.1 | 3.7 | -4.7 | 1.3 | 4.1 |
| 2009 | 2.8 | -5.9 | 4.3 | 0.4 | 2.4 | -0.1 | 1.3 | -2.1 | -2.6 | -6.3 | -0.4 | -0.8 | -7.4 |
| 2010 | -0.5 | 0 | -0.2 | -2.7 | 0.1 | 1.8 | -0.3 | 0 | 1 | -0.2 | 0.5 | 0.6 | 0 |
| 2011 | 1.2 | -0.1 | 0.7 | 0.4 | 0.2 | 0.6 | 2.3 | 0 | -0.9 | -1.5 | 0 | 0 | 3 |
| 2012 | 0.6 | 0.3 | 0.2 | 0.1 | -1.5 | 0.6 | 2.6 | 0.4 | 0.4 | 0.9 | 0 | 0.2 | 4.8 |
| 2013 | 0 | 0.4 | -0.1 | 0.8 | -3.2 | 1 | -1.8 | -0.7 | 0 | -0.4 | 0.5 | 0.4 | -3.2 |
| 2014 | -0.3 | 0.2 | -0.7 | -0.7 | 0.4 | -0.2 | 0.7 | 0.8 | 0.2 | 0.7 | -0.6 | -1.3 | -0.8 |
| 2015 | 0.5 | 0 | 0.6 | 0 | 0.5 | 0 | 0.1 | -0.4 | -0.5 | 0.5 | 0.1 | -1.3 | 0.1 |
| 2016 | 0.6 | 0.5 | 0.2 | 0 | 0 | 0.3 | -0.9 | 0.1 | 1 | -0.3 | -0.4 | 1.3 | 2.4 |
| 2017 | 0.4 | 0.2 | 0 | 0.4 | 0.8 | 0.1 | -1.2 | 0.4 | 0.8 | 0.2 | 1.2 | 0.6 | 3.7 |
| 2018 | -0.1 | -0.1 | 0.3 | -0.3 | 0.2 | -1 | 0.4 | -0.2 | 0.4 | 1 | 0.2 | -1 | -0.3 |
| 2019 | 0.3 | -0.1 | 0.3 | -0.6 | -1.8 | 0.2 | 0.1 | 0 | 0.4 | 0.1 | 0.2 | 0.1 | -0.9 |
| 2020 | 0.1 | -1.4 | -7.7 | -2.8 | 0.5 | 1 | 0 | 0.8 | 0.9 | -0.1 | 1 | 0.2 | -7.6 |
| 2021 | 0.7 | 1.2 | -0.2 | NA | NA | NA | NA | NA | NA | NA | NA | NA | 1.7 |
Row
Price Chart
Row
Rolling Performance Chart
Row
Snail Trail Chart
